Couple of reasons, first some pick up the brass to make extra cash but the main reason is most steel cased ammo the projectile has steel in it too. If you hold a magnet to the projectile it'll magnetize. With the projectile being steel it can cause Sparks/fire and penetrates quicker than brass cased ammo. If you find steel cased ammo that doesn't have a steel jacketed projectile like hordany steel match, or tulammos range friendly version most ranges will let you use them. Hope this helps.

It's the bullet/projectile they're concerned with, cause it can damage the range.